yield-curve
There are 46 repositories under yield-curve topic.
luphord/nelson_siegel_svensson
Implementation of the Nelson-Siegel-Svensson interest rate curve model.
ilchen/US_Economic_Data_Analysis
Jupyter notebooks for analysis of US federal debt levels, tax revenues, budget deficit, evolution of yields on treasury borrowings, treasury yield curves and inflation expectations, unemployment and participation rates, quantitative easing, industrial production, personal consumption and savings. All analysis is based on data provided by FRED.
felipenoris/InterestRates.jl
Interest Rates calculation, indexing and Term Structures.
asaficontact/FX_forecasting_model
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
mcf-long-short/fixed-income-and-credit
Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
quantgirluk/Yield-Curves-Visual
📈A dash app showing Interactive Visualisation of the Yield Curve UK and US
simicd/smith-wilson-py
Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates
dbogatic/economic-indicators
Economic indicators using Python and APIs
open-source-modelling/Nelson_Siegel_Svansson_python
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
TommasoBelluzzo/StrataXL
An Excel integration of OpenGamma Strata.
luphord/yield_curve_dynamics
A cursory look at the dynamics of zero coupon bond yield curves.
rafa-rod/pyettj
Capturar dados de curvas de juros (ettj) usadas no Brasil.
AlgoCryptoDapp/NFTBox-NFT-Staking-Market-Yield-Farming
NFTBox is a NFT staking project market app,NFT Yield Farming,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.
asaficontact/term_spread_combinations
In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might hold true depending on the combination and component of term spread that we are taking into consideration. This project provides a mechanism through which we can identify the best combination of a term spread for creating an efficient macro finance model.
CryptoDappRun/NFTBox-NFT-Staking-Market-Yield-Farming
NFTBox is a NFT staking project market app,NFT Yield Farming project,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.
limchiahooi/us-treasury-yield-spread
This repo contains my U.S. Treasury Yield Spread project to visualize the U.S. Treasury Yield Spread chart using data downloaded from the U.S. Department of The Treasury website.
exzod/BSc-Thesis-
Yield Spread Curve as Recession Indicator in the framework of Machine Learning "On the trails of Dragon Kings"
evdubs/ust-yield-curve
ETL for the US Treasury Yield Curve
mauep2025/Forecasting-the-Yield-Curve
The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.
simicd/yield-curves
Yield curves are required to price insurance contracts. This repo contains the Python back end (Azure Functions) and React front end (single-page app).
jonasknappitsch/us-treasury-yield-visualization
This python project makes use of matplotlib and numpy to visualize the spread between short and long term US treasury bond rates (yield rates). The resulting spread can indicate upcoming economical recessions. Predictions made based on that so called yield curve inversion has proven its accuracy for 6 out of 7 recessions in the past and is renowned as one of the most accurate recession indicators.
kylebinder-public/daily_rates_update
Similar to https://github.com/kylebinder-public/daily_market_update: here are scripts (.py, .bat) for automated sending of daily emails of the US treasury yield curve, spliced in ways that interest me. ETL from https://m.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield (and similar URLs).
open-source-modelling/nelson_siegel_svansson_matlab
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
open-source-modelling/Nelson_Siegel_Svansson_python_ita
Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.
wrcarpenter/Yield-Curve-Models
Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.
lchipham/USInf_TW_Stm
Impact of Twitter inflation sentiments on financial indicators
MarcoZazzini1989/Macroeconomics-and-etfs-returns
Using economic data from OECD and Fred in conjunction with etfs and sector indicies to explore how changing economic regime impacts monthly returns
mpokojovy/HJM-Euro
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
raj-rao-rr/International-Real-Yields
The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.
sdediego/quantitative-finance
Quantitative and computational finance library
spatiban/Financial-Risk-Management
Financial exercises
werleycordeiro/Examples
Tutorial about Dynamic-Nelson-Siegel-Svensson-Kalman-Filter Package